Our findings thus offer interesting insights in terms of investment and diversification, and offer further insights into systemic risk in these regions. On the contrary, if a multivariate GARCH model is tted, the multivariate distribution of the returns can be used directly to compute the implied distribution of any portfolio. Journal of Business Economics and Management, 10(4), 349-360. If the weight vector changes, the model has to be estimated again. Testing the linkages of Arab stock markets: a multivariate GARCH approach. Simple interdependence with the US market characterizes the other markets. A GARCH model can be t to the portfolio returns for given weights. Second, with respect to the contagion test by Forbes and Rigobon (2002) that associates “pure” contagion with a significantly higher correlation between markets during the crisis, our results showed that the “pure” contagion hypothesis is not rejected for France, Italy, the UK or Mexico at the level of 1%, and for Argentina at 10%. 207 in Essentials of Time Series for Financial.
#Multivariate garch eviews 10 how to
First, we highlighted an increase in dynamic correlations following the subprime crisis for most markets under consideration with regard to the U.S. The tutorial shows how to estimate GARCH-in-mean models using Eviews.
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Our findings make two interesting contributions to the field. In order to capture further time-variation in contagion effects and dynamic linkages between stock markets, our paper makes use of a DCC–MGARH model. This paper investigates the contagion hypothesis for ten developed and emerging stock markets (France, Italy, UK, Japan, China, Argentina, Mexico, Tunisia, Morocco and Egypt) with respect to the US market in the context of the subprime crisis.